SPECIAL COURSE
  DERIVATIVES: OPTIONS PRICING, VOLATILITY, ARBITRAGE AND RISK

 MAIN TOPICS

. Option pricing techniques
. How to use the Black-Sholes formula
. Option calculation with binomial, Monte Carlo and finite differences
. How to estimate volatility: MV, EWMA, EVE and GARCH
. Volatility trading
. Implicit volatility curve and smile analysis
. Greeks and their utility in risk analysis
. Barrier option: Knock-in / Knock-out – with or without rebate
. Exotics: Asian, basket, Bermuda, chooser, passport, rainbow and spread
. Arbitrage and special products
. Arbitrage between stock options in US$ and R$
. Structured notes and guaranteed funds
. Market squeeze and its effect on derivatives
. Derivatives strategies under different scenarios
. Derivatives book building and risk mangement
. Value at risk calculation and stress scenarios
. Other risks: operational, counterparty, legal, liquidity
. Recent disasters with derivatives

 
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